Pricing Extendible Options Using the Fast Fourier Transform

Table 2

CPU time (in seconds) for pricing an extendible call option: FFT, Euler scheme, and Milstein scheme.

Underlying asset, 𝑆	FFT	Euler scheme	Milstein scheme
80	0.0821	71.4400	289.2060
90	0.0927	82.0390	310.9170
100	0.1042	81.9460	331.771
110	0.0912	77.6070	359.385
120	0.0643	64.4030	263.972